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Text-Based Identification of Monetary Policy Shocks

Almgren, Pelle LU (2026) In Working Papers
Abstract
This paper identifies monetary policy shocks for Sweden. Based on the written language in
documents prepared by staff ahead of Riksbank policy meetings, I construct text-based regressors that are shown to systematically predict shocks identified with standard methods such as
the Romer and Romer (2004) Greenbook approach and high-frequency identification. Defin-
ing text-based monetary policy shocks as the part of the standard shock that is uncorrelated
with this rich nonstandard source of information, I study the effect of monetary policy on key
monetary aggregates using local projections. The dynamic responses to my text-based policy
shocks are in line with theoretical expectations for a majority of variables at... (More)
This paper identifies monetary policy shocks for Sweden. Based on the written language in
documents prepared by staff ahead of Riksbank policy meetings, I construct text-based regressors that are shown to systematically predict shocks identified with standard methods such as
the Romer and Romer (2004) Greenbook approach and high-frequency identification. Defin-
ing text-based monetary policy shocks as the part of the standard shock that is uncorrelated
with this rich nonstandard source of information, I study the effect of monetary policy on key
monetary aggregates using local projections. The dynamic responses to my text-based policy
shocks are in line with theoretical expectations for a majority of variables at both quarterly
and annual frequency. Text-based Romer and Romer shocks are more in line with ’textbook’
responses compared to high-frequency based shocks. All results are robust to alternative text-
analytic implementations, model specifications and lag length selection in local projections. (Less)
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working paper/Preprint
publication status
published
subject
keywords
Monetary Policy Shocks, Textual Analysis, Riksbank, BERT, Local Projections, C22, C38, C45, E32, E52, E58
in
Working Papers
issue
2026:10
pages
90 pages
language
English
LU publication?
yes
id
7dd0ee9f-c483-4f1d-9aa7-1128c202222b
date added to LUP
2026-09-09 13:06:11
date last changed
2026-09-09 13:06:11
@misc{7dd0ee9f-c483-4f1d-9aa7-1128c202222b,
  abstract     = {{This paper identifies monetary policy shocks for Sweden. Based on the written language in<br/>documents prepared by staff ahead of Riksbank policy meetings, I construct text-based regressors that are shown to systematically predict shocks identified with standard methods such as<br/>the Romer and Romer (2004) Greenbook approach and high-frequency identification. Defin-<br/>ing text-based monetary policy shocks as the part of the standard shock that is uncorrelated<br/>with this rich nonstandard source of information, I study the effect of monetary policy on key<br/>monetary aggregates using local projections. The dynamic responses to my text-based policy<br/>shocks are in line with theoretical expectations for a majority of variables at both quarterly<br/>and annual frequency. Text-based Romer and Romer shocks are more in line with ’textbook’<br/>responses compared to high-frequency based shocks. All results are robust to alternative text-<br/>analytic implementations, model specifications and lag length selection in local projections.}},
  author       = {{Almgren, Pelle}},
  keywords     = {{Monetary Policy Shocks; Textual Analysis; Riksbank; BERT; Local Projections; C22; C38; C45; E32; E52; E58}},
  language     = {{eng}},
  note         = {{Working Paper}},
  number       = {{2026:10}},
  series       = {{Working Papers}},
  title        = {{Text-Based Identification of Monetary Policy Shocks}},
  url          = {{https://lup.lub.lu.se/search/files/260382744/WP26_10_cover_combined.pdf}},
  year         = {{2026}},
}